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Optimal deterministic investment strategies for insurers

Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...

Persistent link: https://www.econbiz.de/10010199019

Impact of climate change on heat wave risk

Biard, Romain; Blanchet-Scalliet, Christophette; … - In: Risks : open access journal 1 (2013) 3, pp. 176-191

We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of...

Persistent link: https://www.econbiz.de/10010338320

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010399713

Actuarial geometry

Mildenhall, Stephen J. - In: Risks : open access journal 5 (2017) 2, pp. 1-44

The literature on capital allocation is biased towards an asset modeling framework rather than an actuarial framework. The asset modeling framework leads to the proliferation of inappropriate assumptions about the effect of insurance line of business growth on aggregate loss distributions. This...

Persistent link: https://www.econbiz.de/10011687307

The COVID-19 pandemic and overconfidence bias : the case of cyclical and defensive sectors

Azam, Md Qamar; Hashmi, Nazia Iqbal; Hawaldar, Iqbal Thonse - In: Risks : open access journal 10 (2022) 3, pp. 1-15

This research paper analyses the impact of COVID-19 to investigate the overconfidence bias in 12 cyclical and defensive … that in the pre COVID-19 phase overconfidence bias is more prevalent in all the cyclical sectors; in particular, MEDIA … trading behaviour. ENERGY is the only sector in both the phases that does not witness overconfidence bias. …

Persistent link: https://www.econbiz.de/10013093209

Are sports bettors biased toward longshots, favorites, or both? : a literature review

Newall, Philip W. S.; Cortis, Dominic - In: Risks : open access journal 9 (2021) 1/22, pp. 1-9

A large body of literature on the favorite-longshot bias finds that sports bettors in a variety of markets appear to … longshot bias is dominant, favorite bias has also now been found in a variety of sports betting markets. This review proposes … only two potential outcomes, where the favorite therefore has a probability >0.5 of happening, often produce favorite bias …

Persistent link: https://www.econbiz.de/10012423111

Prospect theory and the favorite long-shot bias in Baseball

Nutaro, James - In: Risks : open access journal 11 (2023) 5, pp. 1-11

We provide new evidence of a favorite long-shot bias for bets placed on baseball games. Our analysis uses the …

Persistent link: https://www.econbiz.de/10014334404

Do behavioral biases affect investors' investment decision making? : Evidence from the Pakistani equity market

Abideen, Zain Ul; Ahmed, Zeeshan; Qui, Huan; Zhao, Yiwei - In: Risks : open access journal 11 (2023) 6, pp. 1-32

Using a unique sample constructed by 600 investors' responses to a structured questionnaire, we investigate the impact of behavioral biases on the investors' investment decision making in the Pakistani equity market, as well as the roles that market anomalies and financial literacy play in the...

Persistent link: https://www.econbiz.de/10014334545

The estimation of risk premia with omitted variable bias : evidence from China

Mao, Jie; Xia, Tianliang - In: Risks : open access journal 11 (2023) 12, pp. 1-9

The Chinese stock market is replete with numerous omitted variables that can introduce biases in the standard estimation of risk premiums when traditional linear asset pricing models are applied. The three-pass method enables the estimation of risk premiums for observable factors even when not...

Persistent link: https://www.econbiz.de/10014446658

Intangible assets and analysts’ overreaction and underreaction to earnings information : empirical evidence from saudi arabia

Elkemali, Taoufik - In: Risks : open access journal 12 (2024) 4, pp. 1-16

Several prior studies indicate that financial analysts exhibit systematic underreaction to information; others illustrate systematic overreaction. We assume that cognitive biases influence analysts' behavior and that these misreactions are not systematic, but they depend on the nature of news....

Persistent link: https://www.econbiz.de/10014636511

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